Abstract
In stochastic optimal control, a key issue is that “solutions” are searched for in terms of “closed-loop control laws” over available information and, as a consequence, a major potential difficulty is the fact that present control may affect future available information.This is known as the “dual effect” of control, and has been discussed in Sects. 1.1.3, 1.2.1, 1.3.2 and 4.2.3. Following (K. Barty et al. Annals of Operation Research, 142(1):41-62, February 2006, [13]), we will characterize the maximal set of closed-loop control laws containing open-loop laws and for which the information provided by observations closed with such a feedback remains fixed.
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Carpentier, P., Chancelier, JP., Cohen, G., De Lara, M. (2015). Dual Effect for Multi-Agent Stochastic Input-Output Systems. In: Stochastic Multi-Stage Optimization. Probability Theory and Stochastic Modelling, vol 75. Springer, Cham. https://doi.org/10.1007/978-3-319-18138-7_10
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DOI: https://doi.org/10.1007/978-3-319-18138-7_10
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